Direct use of regression quantiles to construct confidence sets in linear models

DOI10.1214/AOS/1033066210MaRDI QIDQ1922407zbMATH OpenOpenAlexFDO

Authors Kenneth Q. Zhou, Stephen Portnoy

Publication date 7 January 1997

Published in The Annals of Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1214/aos/1033066210

zbMATH Keywords

Bahadur representationbootstrapBrownian bridgeconditional quantilesconfidence bandsconfidence intervalsdistribution-free approachempirical levelsempirical quantile functionprediction intervalsregression quantilesrobustnesssample regression quantilessimulation resultsstudentization

Mathematics Subject Classification ID

Nonparametric tolerance and confidence regions (62G15) Asymptotic properties of nonparametric inference (62G20) Linear regression; mixed models (62J05)

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Cites work

• A Note on Quantiles in Large Samples
• A resampling method based on pivotal estimating functions
• Adaptive \(L\)-estimation for linear models
• An Empirical Quantile Function for Linear Models with | operatornameiid Errors
• Approximation Theorems of Mathematical Statistics
• Asymptotic behavior of regression quantiles in non-stationary, dependent cases
• Asymptotic Behavior of the Number of Regression Quantile Breakpoints
• Asymptotic relations of M-estimates and R-estimates in linear regression model
• Bootstrap methods: another look at the jackknife
• Coverage probabilities of bootstrap-confidence intervals for quantiles
• ESTIMATION OF A DENSITY FUNCTION USING ORDER STATISTICS1
• scientific article; zbMATH DE number 3949504 (Why is no real title available?)
• scientific article; zbMATH DE number 4104198 (Why is no real title available?)
• scientific article; zbMATH DE number 3223982 (Why is no real title available?)
• L-Estimation for Linear Models
• One-Step Huber Estimates in the Linear Model
• Regression Quantiles
• Regression rank scores and regression quantiles
• Tests of linear hypotheses based on regression rank scores
• The bootstrap and Edgeworth expansion
• Trimmed Least Squares Estimation in the Linear Model

Cited in

(19)

• Instability of least squares, least absolute deviation and least median of squares linear regression. (With a comment and a rejoinder).
• Restricted regression quantiles
• Fully Bayesian estimation of simultaneous regression quantiles under asymmetric Laplace distribution specification
• Bahadur representations for bootstrap quantiles
• Efficient Construction of Test Inversion Confidence Intervals Using Quantile Regression
• Censored quantile regression processes under dependence and penalization
• Small sample performance of quantile regression confidence intervals
• Quantile-regression inference with adaptive control of size
• Saddlepoint tests for quantile regression
• Conformal Prediction: A Gentle Introduction
• Using quantile regression for rate-making
• Generalized M-estimators for high-dimensional Tobit I models
• Bias correction for quantile regression estimators
• Nearly root-\(n\) approximation for regression quantile processes
• A first-stage representation for instrumental variables quantile regression
• Quantile control via random forest
• Quantile regression for dynamic panel data with fixed effects
• A direct approach to inference in nonparametric and semiparametric quantile models
• On monotonicity of regression quantile functions

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